Capital asset pricing model: A time-varying volatility approach
Publication in refereed journal


香港中文大学研究人员 ( 现职)

金兑镇教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jempfin.2016.01.014

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/1Scopus source URL

其它资讯

摘要In this paper, we propose a methodology to conduct uniform inference of volatility in the capital asset pricing model (CAPM). To that end, relevant theory is employed to construct the uniform confidence band of the volatility in the CAPM. The methodology is applied to the U.S. stock return data. The empirical results show strong evidence of co-movement among the volatility estimates for six U.S. stocks of large market capitalization. The hypothesis of constant volatility for the CAPM is rejected unanimously, mainly due to the surge in volatility in the early 2000s and during the 2008 financial crisis.

着者Kim K.H., Kim T.
期刊名称JOURNAL OF EMPIRICAL FINANCE
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/15
月份5
日期27
卷号37
出版社Elsevier BV
出版地Netherlands
页次268 - 28http://aims.cuhk.edu.hk/converis/portal/Publication/1
国际标準期刊号0927-5398
语言英式英语

关键词Capital asset pricing model, Co-movement, Financial crisis, Idiosyncratic risk, Time-varying volatility, Uniform inference